Replication Report: Market-Based Monetary Policy Uncertainty

Cristina Griffa, Miquel Oliver i Vert, Benjamin Tatlow and Yaolang Zhong

No 76, I4R Discussion Paper Series from The Institute for Replication (I4R)

Abstract: This report replicates and examines Bauer et al.'s (2021) paper on monetary policy transmission to financial markets. The paper introduces novel measures of monetary policy uncertainty and analyses its drivers. It also investigates the impact of uncertainty changes on interest rates and financial asset prices. We assess reproducibility, consolidate market uncertainty measures using PCA and Factor Analysis, and rigorously test the reduction of uncertainty after Federal Market Open Committee (FOMC) announcements. Our findings support the paper's claim of reduced uncertainty on meeting days. Additionally, we explore the implications of the uncertainty channel on various financial assets, such as Gold, the Swiss Franc, European stock indexes, and Bitcoin.

Date: 2023
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/278110/1/I4R-DP076.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:i4rdps:76

Access Statistics for this paper

More papers in I4R Discussion Paper Series from The Institute for Replication (I4R)
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().